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deleted_user
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l=t(root(cov)); /* calculate cholesky root of cov matrix */

What is the fonction of 't' in this l=t(root(cov) fonction?
1 REPLY 1
Rick_SAS
SAS Super FREQ
The Cholesky decomposition factors a matrix A into two triangular matrices: A = U` * U where U is upper triangular. The T function takes the transpose of a matrix. Therefore L = T(root(cov)) is the lower triangular matrix U`.

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